This paper, "Can Excess Liquidity Signal an Asset Price Boom?" available here was an interesting attempt to measure excess liquidity using a broad money to GDP ratio for 18 industrial countries.
This paper analyses the relationship between the prevailing liquidity conditions (such as measures of money, credit and interest rates) and developments in asset prices from a monetary analysis perspective. After having identified periods of sustained excess liquidity, we analyse under which conditions they are more likely to be followed by an asset price boom. The results from a descriptive analysis of the developments in a number of macroeconomic and financial variables suggest that periods of sustained excess liquidity that are accompanied by strong economic activity, low interest rates, high real credit growth and low inflation have a higher likelihood of being followed by an asset price boom. This conclusion is also confirmed by a logit analysis.
1. I would have liked to see some plots of the raw data.
2. I'm not sure if the results are sensitive to the HP filter and some plots may have been useful.
3. Maybe it's just me but I wasn't sure from reading the paper whether the booms/busts were defined on a country by country basis or overall for all countries over the entire sample period.